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frolloos


Total Posts: 131
Joined: Dec 2007
 
Posted: 2021-02-17 08:04
Unfortunately the 'pricing and modelling' space appears to have been polluted by spam.

So here is one more spam, and I promise my last one on vol/skew.

A note on trading forward skew.

Warning: no ML or crypto mentioned anywhere in it.




Forward skew trading

No vanna, no cry

ronin


Total Posts: 680
Joined: May 2006
 
Posted: 2021-02-17 14:39
So it takes - wait for it - two options to hedge the skew?

Man, how times have changed....

"There is a SIX am?" -- Arthur

frolloos


Total Posts: 131
Joined: Dec 2007
 
Posted: 2021-02-17 14:53
Yeah, two options is all you need, you might even want to go long an ATM and short an ATM and hedge the skew that way

No vanna, no cry

ronin


Total Posts: 680
Joined: May 2006
 
Posted: 2021-02-17 15:24
Applause

"There is a SIX am?" -- Arthur
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